Value at Risk
... To calculate VaR using M.C. simulation we • Value portfolio today • Sample once from the multivariate distributions of the xi • Use the xi to determine market variables at end of one day • Revalue the portfolio at the end of day Options, Futures, and Other Derivatives, 5th edition © 2002 by John C ...
... To calculate VaR using M.C. simulation we • Value portfolio today • Sample once from the multivariate distributions of the xi • Use the xi to determine market variables at end of one day • Revalue the portfolio at the end of day Options, Futures, and Other Derivatives, 5th edition © 2002 by John C ...
income and wealth heterogeneity, portfolio choice, and equilibrium
... We use the above arguments to derive a bound for the market price of risk that applies in incomplete-markets economies. This bound makes clear the role of idiosyncratic consumption volatility, and it shows how Mankiw’s argument applies in our context. In our economy, because employment is more likel ...
... We use the above arguments to derive a bound for the market price of risk that applies in incomplete-markets economies. This bound makes clear the role of idiosyncratic consumption volatility, and it shows how Mankiw’s argument applies in our context. In our economy, because employment is more likel ...
Correlation Risk
... Correlation Risk “The rocket scientists of the financial world have become obsessed with a phenomenon that they cannot price or hedge directly but which they see as the final piece in the jigsaw of risks they must understand and control if they are to manage portfolios effectively. That phenomenon ...
... Correlation Risk “The rocket scientists of the financial world have become obsessed with a phenomenon that they cannot price or hedge directly but which they see as the final piece in the jigsaw of risks they must understand and control if they are to manage portfolios effectively. That phenomenon ...
A Libor Market Model Approach for Measuring
... risk is a specific form of credit risk between derivatives counterparties. It is the risk that a counterparty will not be able to pay what it is obligated to on any trade or transaction when it is supposed to. Ever since the credit crisis of 2007 and the failure of many large financial institutions, ...
... risk is a specific form of credit risk between derivatives counterparties. It is the risk that a counterparty will not be able to pay what it is obligated to on any trade or transaction when it is supposed to. Ever since the credit crisis of 2007 and the failure of many large financial institutions, ...
Derivatives and Volatility on Indian Stock Markets
... cash markets has remained an active topic of analytic and empirical interest. Questions pertaining to the impact of derivative trading on cash market volatility have been empirically addressed in two ways: by comparing cash market volatilities during the pre-and post-futures/ options trading eras an ...
... cash markets has remained an active topic of analytic and empirical interest. Questions pertaining to the impact of derivative trading on cash market volatility have been empirically addressed in two ways: by comparing cash market volatilities during the pre-and post-futures/ options trading eras an ...
Young, Old, Conservative, and Bold: The Implications of
... We consider exclusively endowment shocks in a Lucas (1978)-style economy. While this more conventional asset-pricing framework abstracts from modeling investment, it has the advantage that stock-market fluctuations are due to endogenous variations in the price of capital. It also allows us to readil ...
... We consider exclusively endowment shocks in a Lucas (1978)-style economy. While this more conventional asset-pricing framework abstracts from modeling investment, it has the advantage that stock-market fluctuations are due to endogenous variations in the price of capital. It also allows us to readil ...
Tanguy Dehapiot
... liabilities – Let’s pass This One To the Shareholders, Lanny G. Chasteen & Charles R. Ransom, June 2007 (C&R) ...
... liabilities – Let’s pass This One To the Shareholders, Lanny G. Chasteen & Charles R. Ransom, June 2007 (C&R) ...
On Term Structure Models of Commodity Futures
... To explain the role played by these state variables, or factors, consider the simple geometric Brownian motion of Black-Scholes-Merton’s celebrated option pricing solution. In this model, the asset price is affected by a drift term and a diffusion. It is also nonstationary and is often associated wi ...
... To explain the role played by these state variables, or factors, consider the simple geometric Brownian motion of Black-Scholes-Merton’s celebrated option pricing solution. In this model, the asset price is affected by a drift term and a diffusion. It is also nonstationary and is often associated wi ...
Telling from Discrete Data Whether the Underlying Continuous
... can we tell whether the underlying model that gave rise to the data was a diffusion, or should jumps be allowed into the model? Intuition suggests that the answer should be no. After all, the discrete data are purely discontinuous even if the continuous-time sample is not. Thus, faced with two disco ...
... can we tell whether the underlying model that gave rise to the data was a diffusion, or should jumps be allowed into the model? Intuition suggests that the answer should be no. After all, the discrete data are purely discontinuous even if the continuous-time sample is not. Thus, faced with two disco ...
Volatility at World`s End
... experienced volatility at world's end and now we have a visceral and primitive connection to that particular risk. We should not take lightly the impact of that emotional memory on all levels of our society as it will play a huge role in our judgment of probability for the foreseeable future. The hu ...
... experienced volatility at world's end and now we have a visceral and primitive connection to that particular risk. We should not take lightly the impact of that emotional memory on all levels of our society as it will play a huge role in our judgment of probability for the foreseeable future. The hu ...
Volatility: Implications for Value and Glamour Stocks
... and run away from markets when volatility is high. We set out to study the implications of high and low volatility regimes and their effect on value and glamour stock returns. Volatility can be considered a barometer of investor reaction. The market’s “fear gauge,” volatility reflects behavioral bia ...
... and run away from markets when volatility is high. We set out to study the implications of high and low volatility regimes and their effect on value and glamour stock returns. Volatility can be considered a barometer of investor reaction. The market’s “fear gauge,” volatility reflects behavioral bia ...
What Can We Learn from the Term Structure of Option Implied
... medium-term factor. In addition, Diebold and Li [2006] demonstrate that these three factors may also be interpreted in terms of the yield curve’s level, slope and curvature, respectively. They further show that this simple model performs better than many other yield curve models in both in-sample fi ...
... medium-term factor. In addition, Diebold and Li [2006] demonstrate that these three factors may also be interpreted in terms of the yield curve’s level, slope and curvature, respectively. They further show that this simple model performs better than many other yield curve models in both in-sample fi ...
An Equilibrium Model of Catastrophe Insurance Futures and Spreads
... incurred by the reporting companies arising from perils of windstrom, hail, earthquake, riot, and flood. Reported losses can arise from eight different lines of insurance including homeowners, commercial multiple peril, earthquake, and automobile physical damage. Even though the contracts are called ...
... incurred by the reporting companies arising from perils of windstrom, hail, earthquake, riot, and flood. Reported losses can arise from eight different lines of insurance including homeowners, commercial multiple peril, earthquake, and automobile physical damage. Even though the contracts are called ...
Catastrophe Insurance Products in Markov Jump Diffusion Model
... forgiveness. Meanwhile, the debt forgiveness can be triggered by the insurer’s actual losses or a composite index of insurer’s losses during the specific period. Under this structure, the insurance company could transfer the catastrophe risk to increase the ability to provide insurance protection. ...
... forgiveness. Meanwhile, the debt forgiveness can be triggered by the insurer’s actual losses or a composite index of insurer’s losses during the specific period. Under this structure, the insurance company could transfer the catastrophe risk to increase the ability to provide insurance protection. ...
An Analytic Framework for Computing Value-at
... tomorrow. For each scenario we calculate tomorrow’s portfolio value. The 1% quantile, or the fifth worst scenario, tells us the 99%-VaR. For an analytical model the historical approach is of no interest. The biggest concern using the model building approach is the derivation of the probability densit ...
... tomorrow. For each scenario we calculate tomorrow’s portfolio value. The 1% quantile, or the fifth worst scenario, tells us the 99%-VaR. For an analytical model the historical approach is of no interest. The biggest concern using the model building approach is the derivation of the probability densit ...
Asset Pricing
... is reduced by diversification among assets. CAPM: an asset risk premium is proportional to its amount of systematic risk. Intertemporal portfolio choice with one asset only and CCAPM: the volatility of the marginal utility of consumption is reduced by the intertemporal diversification. CCAPM: an ass ...
... is reduced by diversification among assets. CAPM: an asset risk premium is proportional to its amount of systematic risk. Intertemporal portfolio choice with one asset only and CCAPM: the volatility of the marginal utility of consumption is reduced by the intertemporal diversification. CCAPM: an ass ...
